Windows keeps an eye on your critical system files. If someone or something changes one or more of them, it knows and will copy the original file back from the install CD, thus it is nagging you for the CD to make the fix.
If you install a service pack, of course many system files get replaced, but Windows knows about them too and will copy them from the DLL cache it made when installing the service pack or update unless the service pack was on the original install CD, then it will still nag you for the CD.
Advice: Cooperate, it's trying to save itself.